most citedA Bayesian Residual-Based Test for Cointegration

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stat.ME2013★ 1 cited

A Bayesian Residual-Based Test for Cointegration

Thomas Furmston, Stephen Hailes, A. Jennifer Morton

Cointegration is an important concept in the analysis of non-stationary time-series, giving conditions under which a collection of non-stationary processes has an underlying statio…